A closed-form exact solution for pricing fixed-income variance swaps with affine-jump model
Year of publication: |
2021
|
---|---|
Authors: | Li, Shaoyu ; Zhang, Yuanyuan ; Zhu, Chunhui |
Published in: |
The North American journal of economics and finance : a journal of financial economics studies. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9408, ZDB-ID 1289278-6. - Vol. 58.2021, p. 1-19
|
Subject: | Jumps | Affine model | Closed-form solution | Fix-income variance swaps | Stochastic volatility | Swap | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process |
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